| 摘要: | 本研究以Copeland、Weston和Shastri(2005)提出之可轉換公司債資金成本理論為基礎，其理論結合Black-Scholes選擇權評價模式與多期資本資產定價模式。本研究導出可轉換公司債之資金成本與轉換標的普通股之系統風險、公司價值、負債發行總面額、無風險利率、權益選擇權價值、資產價值變異數和距離到期日的時間等因素間之關係，最後藉由迴歸模式驗證本研究之推導結果，以瞭解上述變數是否為影響可轉換公司債價值之決定因素。
本研究之推導結果為：當市場風險溢酬為正(負)數時，可轉換公司債資金成本與轉換標的普通股之系統風險間為正(負)向關係；可轉換公司債資金成本與公司價值、無風險利率、權益選擇權價值、資產價值變異數和距離到期日的時間長度呈負(正)向關係，與負債發行總面額呈正(負)向關係。
實證結果如下：
1.在國內可轉換公司債資金成本部份，其正負向關係與推導結果相同者：(1)不論市場風險溢酬為正數或負數，為公司價值、無風險利率和公司資產價值變異數；(2)當市場風險溢酬為正數時，尚有權益選擇權價值及距離到期日時間長度；(3)當市場風險溢酬為負數時，尚有標的普通股系統風險及負債發行總額。影響其價值之變數：(1)當市場風險溢酬為正數時，為無風險利率與權益選擇權價值；(2)當市場風險溢酬為負數時，則為標的普通股系統風險、無風險利率及距離到期日時間長度。
2.在海外可轉換公司債資金成本部份，其正負向關係與推導結果相符者：(1)不論市場風險溢酬為正數或負數，為標的普通股系統風險、負債發行總額、無風險利率、權益選擇權價值，且與匯率波動度間呈負向關係，與假說相符；此外，(2)當市場風險溢酬為正數時，尚有公司價值及距離到期日時間長度；(3)當市場風險溢酬為負數時，尚有公司資產價值變異數。影響其價值之變數：(1) 不論市場風險溢酬為正數或負數時，皆受到標的普通股系統風險、無風險利率和權益選擇權價值的影響；(2)當市場風險溢酬為正數時，尚受到公司價值以及匯率波動度的影響。
This study is based on CWS model(Copeland, Weston and Shastri,2005) to derive the relationship between the cost of capital for the convertible bond(kcv) and the systematic risk of common stock(βs), and the market value of the firm(V), and the amount of debt issued(D), and the risk-free rate of return(Rf), and the value of the equity option(C), and the variance of the value of the firm’s assets(σTA2), and the maturity date of the debt(T), and the fluctuate of exchang rate(σR), further find out the empirical evidences, using the data from 1995 to 2004 with regression method. The empirical results are as follows.
First, as the risk premium is positive, there is negative relationship between kcv and V, and C, andσTA2 , and T. Rf and C are determinants of value for convertible bonds(CB). On the other hand, there is negative relationship between the cost of capital for the european convertible bond(kecv) and V, and Rf, and C, and T, andσR , but with D andβs are positive. βs , V, Rf , C andσR are determinants of value for european convertible bonds(ECB). Second, as the risk premium is negative, there is positive relationship between kcv andβs, and V, and Rf , andσTA2 , but with D is negative. βs, Rf and T are determinants of value for convertible bonds. On the other hand, there is positive relationship between kecv and Rf , andσTA2, and C, but withβs, D andσR are negative. Rf and C are the determinants of value for european convertible bonds. |
